I have a multi-time series intraday trading strategy which I am backtesting. For example I run the strategy on daily bars, but add 60minutes bars for advanced trade logic. The 60 minute bars create enter limit orders. When I now try to retrieve the exact execution time with execution.ToString(), NT will only always give me the time of the 60 minute bar, but not the actual execution time with theoretically available minute data. I use minute data, and I have also tried adding a 1 minute bar and tried accessing the most recent time information using Times[2][0] in OnExecution(), I tried with calculate on bar close = false, etc. No success...
Is it possible at all to have more granular information when exactly a limit order was filled in backtests?
Thank you
whotookmynickname
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